jpen {JPEN} | R Documentation |
Estimate of covariance Matrix using Joint Penalty Method
jpen(S, gam, lam=NULL)
S |
Sample covariance matrix. |
gam |
Tuning parameter gamma. gam is non-negative. |
lam |
Tuning parameter lambda. lam is non-negative. |
This function returns an estimate of covariance matrix using Joint Penalty method.
Estimate of Covariance Matrix.
Ashwini Maurya, Email: mauryaas@msu.edu
A Well Conditioned and Sparse Estimate of Covariance and Inverse Covariance Matrix Using Joint Penalty. Submitted. http://arxiv.org/pdf/1412.7907v2.pdf
jpen.tune, jpen.inv
p=10;n=100;
Sig=diag(p);
y=rmvnorm(n,mean=rep(0,p),sigma=Sig);
gam=1.0;S=var(y);
lam=2/p;
Sighat=jpen(S,gam,lam);